Method, system and machine readable program for mitigating effects of spikes in financial data

Abstract

The invention provides, among other things: methods, systems, machine readable programs and associated graphical user interfaces for identifying a financial instrument and a time interval associated therewith. The financial instrument has a first set of data associated therewith, which includes a plurality of values. The values may include a first value associated with a high value for the financial instrument during the time interval and a second value associated with a low value for the financial instrument during the time interval. The values may further include a third value associated with an opening value for the financial instrument during the time interval and a fourth value associated with a closing value for the financial instrument during the time interval. The time interval is then analyzed to determine if it includes a spike or other anomaly based upon the first set of data.

1 - 25 . (canceled) 
     
     
         26 . A computer-implemented method of adjusting the scale resolution of a displayed set of data values of a chart associated with a financial instrument displayed in a graphical user interface (GUI), the method comprising:
 monitoring the displayed chart to detect a rescale condition, said chart including data points representing variations in the set of data values, wherein detecting the rescale condition includes detecting a spike in the set of data values that causes the chart's scale resolution to decrease such that, due to the decreased scale resolution, the variations in the set of values for the financial instrument are graphically compressed;   determining that the spike is an anomaly;   removing the spike from the set of data values based on the spike being an anomaly;   automatically rescaling the chart with the spike removed such that the scale resolution of the chart is increased; and   displaying the rescaled chart on the GUI with the increased scale resolution such that the variations in the set of values for the financial instrument are graphically expanded due to the increased scale resolution, wherein the determining that the spike is an anomaly is determined by:
 a) identifying a time interval associated with the financial instrument, the financial instrument having a first set of data related thereto; and 
 b) based upon the first set of data, analyzing whether the time interval includes the spike. 
   
     
     
         27 . The method of  claim 26 , wherein values associated with a first sub interval within the time interval are analyzed to determine the presence of the spike therein. 
     
     
         28 . The method of  claim 27 , wherein the first sub interval is analyzed to determine the presence of the spike therein with reference to values associated with a second sub interval within the time interval and the spike is detected in the first sub interval by comparing a first quantity computed from values associated with the first sub interval with a second quantity computed using values associated with the second sub interval. 
     
     
         29 . The method of  claim 28 , wherein the second sub interval includes a plurality of further sub intervals, and the second quantity is computed by averaging a plurality of sub quantities, each sub-quantity being computed from values associated with each sub interval. 
     
     
         30 . The method of  claim 29 , wherein the first quantity is computed by subtracting an opening or closing value associated with the first sub interval from a high or low value associated with the first sub interval. 
     
     
         31 . The method of  claim 27 , wherein the presence of the spike is determined with reference to three values associated with the first sub interval and the three values include the opening value, the closing value, and a value selected from the group consisting of (i) the high value, and (ii) the low value. 
     
     
         32 . The method of  claim 30 , wherein the closing value associated with a sub interval prior to the first sub interval is substituted for the opening value associated with the first sub interval to compute the first quantity if the opening value associated with the first sub interval is equal to either of (i) the high value associated with the first sub interval, or (ii) the low value associated with the first sub interval. 
     
     
         33 . The method of  claim 30 , wherein the opening value associated with a sub interval subsequent to the first sub interval is substituted for the closing value associated with the first sub interval to compute the first quantity if the closing value associated with the first sub interval is equal to either of (i) the high value associated with the first sub interval, or (ii) the low value associated with the first sub interval. 
     
     
         34 . The method of  claim 30 , wherein the time interval is determined to include the spike when the magnitude of the second quantity is three times greater than the magnitude of the first quantity. 
     
     
         35 . The method of  claim 26 , further including displaying a graphical indicia to the graphical information to indicate the spike's location in the time interval. 
     
     
         36 . The method of  claim 26 , further comprising deleting the spikes's value. 
     
     
         37 . The method of  claim 26 , further comprising replacing the spike's value with the closing value associated with the time interval or the opening value associated with the time interval. 
     
     
         38 . A computer system operable to adjust the scale resolution of a displayed set of data values of a chart associated with a financial instrument for display comprising:
 a hardware processor that executes one or more processes;   a graphical user interface (GUI) operatively connected to the hardware processor; and   a computer readable non-transitory memory operatively connected to the hardware processor and storing a process, the process, when executed by the hardware processor, causes the hardware processor to:
 monitor the displayed chart to detect a rescale condition, said chart including data points representing variations in the set of data values, wherein detecting the rescale condition includes detecting a spike in the set of data values that causes the chart's scale resolution to decrease such that, due to the decreased scale resolution, the variations in the set of values for the financial instrument are graphically compressed; 
   determine that the spike is an anomaly;   remove the spike from the set of data values;   automatically rescale the chart with the spike removed such that the scale resolution of the chart is increased; and   display the rescaled chart on the GUI with the increased scale resolution such that the variations in the set of values for the financial instrument are graphically expanded due to the increased scale resolution, wherein the hardware processor performs the following steps to determine that the spike is an anomaly:
 a) identify a time interval associated with the financial instrument, the financial instrument having a first set of data associated therewith including a plurality of values relating to the financial instrument during the time interval; and, 
 b) analyze whether the time interval includes the spike using a confidence value “C” based upon a mean “m” and standard deviation “s” of the plurality of data points of the first set of data and a user selected multiplier “A”, wherein C=m+(A*s). 
   
     
     
         39 . A computer-implemented method for analyzing financial data generated in an exchange, wherein the exchange is in communication with a client/server network, the client/server network including a client computer having a hardware processor, computer readable non-transitory memory operatively connected to the hardware processor and storing a program, and a graphical user display (GUI) operatively connected to the hardware processor, wherein the program, when executed by the hardware processor, causes the hardware processor to perform the method comprising the steps of: adjusting the scale resolution of a displayed set of data values of a chart chart associated with a financial instrument displayed in a graphical user interface, the method comprising:
 monitoring the displayed chart to detect a rescale condition, said chart including data points representing variations in the set of data values, wherein detecting the rescale condition includes detecting a spike in the set of data values that causes the chart's scale resolution to decrease such that, due to the decreased scale resolution, the variations in the set of values for the financial instrument are graphically compressed;   determining that the spike is an anomaly;   removing the spike from the set of data values;   automatically rescaling the chart with the spike removed such that the scale resolution of the chart is increased; and   displaying the rescaled chart on the graphical user interface with the increased scale resolution such that the variations in the set of values for the financial instrument are graphically expanded due to the increased scale resolution, wherein the determining that the spike is an anomaly is determined by:
 a) receiving a first set of data related to the financial instrument on the exchange, the first set of data being within a time interval and including: (i) a high value for the financial instrument during the time interval; (ii) a low value for the financial instrument during the time interval; (iii) an opening value for the financial instrument during the time interval; and (iv) a closing value for the financial instrument during the time interval, 
 b) detecting a spike in the time interval using a confidence value based upon the first set of data, and 
 c) removing the spike from the first set of data based upon a confidence value C that the spike is an aberrant fluctuation, the confidence value “C” being equal to a mean “m” plus the product of a user selected multiplier “A” times a standard deviation “s” of the first set of data. 
   
     
     
         40 . The computer-implemented method as recited in  claim 39 , wherein A is equal to 1.64. 
     
     
         41 . The computer-implemented method as recited in  claim 39 , wherein A is equal to 2.32.